Please comment on my day trading plan

I was interrupted and posted before completing my last post, so a disclaimer. I never actually traded these ideas, it was more in a formulation stage. I was having some of the same issues with backtesting that you were having, with trying to compare relative strength on past market days. I downloaded several months of intraday data for a limited number of symbols from esignal that I used for some very limited backtesting, and was in the process of paper trading.

This strategy was so counter to what I was doing at the time in my day trading that I had some difficulty trying to retrain myself to avoid the counter-trend trading. That is one reason that I tried to incorporate using pullbacks, so that I could stick with buying dips and selling rallies. The difference is that you are buying dips in stronger stocks on up market days and selling rallies in weaker stocks on weak market days, as opposed to picking a top for the strongest stock on your screen because "it can't go any higher".

FYI, sometimes the "pullback" for a really strong stock might not happen. You might see a couple of hours during the day where it plateaus and just goes sideways. When that happens, especially if the rest of the market has pulled back any your stock won't budge, that might be just as good or better than an actual reduction in price. If and when the market resumes rally, that stock has a pretty good chance to take off as well.
 
Quote from jr07:

I have and the results are not very good, with a % win rate around 50%. That is why I was asking for feedback, I would like to improve my % win rate
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stop focusing on win rate. It means absolutely nothing that newbies get hung up on. Win rate is nothing more than manipulating when you get out because you are afraid of taking losers. Focus on profit factor/expectancy and other metrics (drawdown, etc.).
 
Quote from duhmentor:

Break even is OK
How many of the trades that you take off for change of direction never get to breakeven but eventually reach your target?

You might want to consider sizing your trades to amount of risk rather than % of capital.

What % of trades are taken off because of direction change?
How many are stopped out between your calculated stop and breakeven.
What I'm wondering is if the system is OK and you are messing with it.
A MA cross system will usually result in lots of whipsaw and a few big wins that make it pay.
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I don't know the answer to any of these but I will begin to pay attention to the statistic.

Thanks for the rec. on position size. will do. Is 1% of account value max. risk per trade ok? i.e the position will be such that the delta to stop loss x shares = 1% of account value (500$ in the case of 50,000$). So if I can "afford" to loose 500$ in a trade, and the entry is around 20$ and my stop loss is 19.50$ then the size would be 1000 shares.

I though failed MA xover systems due to whipsaws were the ones where 2 MAs are used and their crossing, or one MA but PRICE crossing. I actually traded for some months with this last year and yes, ended having days with 100% loses.

J
 
Quote from my7tvette:

I like some of your ideas, and have some general thoughts. First, I recommend that you do some searching through ET for posts by Dustin. He has been very open about some of his general strategies, which also revolve around relative strength/weakness with volume. I'm not sure what he has been up to lately however.

Second, are you using the overall market trend in your analysis? If the market is showing signs of strength, are you only playing longs or are you also taking your short signals. I played around with some relative strength ideas before, and I never had much success with selling weak stocks on strong market days or vice versa. I was hoping to find ways to remain relatively market neutral during the day, but trading against the market trend obviously seemed to blunt most of the gains.

Next, have you tried waiting for a pullback to time your entries? I was looking for strong stocks on strong market days/weak stocks on weaker market days, but rather than buying the high when my criteria was reached, I would wait for a pullback.
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- Thanks. I will look up Dustin
- No not really. Since the market is so crazy nowadays, I decided not to have a bias. Besides, some wonderful shorting opportunities may come up in strong days why not? Doesnt mean I will take them, I just keep all options open.
- Good point and thanks for this.
J
 
Quote from jr07:


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Thanks for the rec. on position size. will do. Is 1% of account value max. risk per trade ok? i.e the position will be such that the delta to stop loss x shares = 1% of account value (500$ in the case of 50,000$). So if I can "afford" to loose 500$ in a trade, and the entry is around 20$ and my stop loss is 19.50$ then the size would be 1000 shares.

I though failed MA xover systems due to whipsaws were the ones where 2 MAs are used and their crossing, or one MA but PRICE crossing. I actually traded for some months with this last year and yes, ended having days with 100% loses.

J
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Trade what ever you are comfortable with. Start small, you are experimenting so you might as well keep loses to a minimum.

I’d suggest $100 risk per trade. So if your risk is 50 cents you trade 200 shares.
If you keep the risk constant it’s easier to see if your trades pan out.

When you use price crossing a MA it’s not much different than using 2 MAs.
I have used this type of a timing trigger but on a longer time frame. I wait for the price to cross the MA, make a swing high, retrace and then enter when the swing high is broken.
 
Quote from jr07:

BTW, I hope I don't jinx it with this, but it's the first time I've had a meaningful constructive discussion on this board without a single negative/aggressive post!
J
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And then along came Jack and friends: :(
 
Quote from jack hershey:

thanks for the additional details. attached is a followup that may be an iterative refinement of your original post.
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Hi Jack,

How many days were used to get Average Daily Volume?

Is it 65 trading days? Or 45 trading days? TIA
 

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Quote from NYCMB:

Hi Jack,

How many days were used to get Average Daily Volume?

Is it 65 trading days? Or 45 trading days? TIA
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Most resourses use 65 and, if it is a variable use 45 to stand for two months.

65 stands for a 1/4 of a trading year.

Getting a universe is based on 5 moves in 6 months.

Trading on volume while position trading @ 10 % a cycle optimizes at 100 turns a year. To calculate the doublings of capital per year divide 100 by 8.

Keeping three sets of 30 minute tiles is the way to go. The groups are: recently owned, DU and Owned. You rotate out of owned on the 2B. the stock goes into recently owned. for the period of R2R , 2B and 2R. At @r you move it to the DU tile group and watch for the 2r ending and B2B beginning.

At the 100 turns a year yo are holding the A D A portion of the scoring. The prior periods D, A, D, A, D are when the stock is rotating through the recently owned and DU tile piles.

The Sharpe ratio on this for a poor universe is about 60 acoording to Worden Bros when they use the Naz 100 as the universe and run an annual cycle.

The general universe criteria is posted in the journal on PVT along with a years results as they occurred. forward testing on an ATS yields and average hold of 6.6 days and 11.1% per turn.

There is a timeout back test on a non universe that shows time out trading is statistically insignificant. Some how it got mistakenly associated with the PVT and PEP by using a remark in a paper on scoring where entries and exits were specified as score shifts. These trading moments correlate with the ATS and the scoring snippets and do NOT correlate with time out types of trading (See timeout trading of Trader666).
 
Hey Jr, quickly place the Jack-bashers on ignore so you don't have to see their posts, which will distract you from what is a very informative thread.

Quote from my7tvette:

This strategy was so counter to what I was doing at the time in my day trading that I had some difficulty trying to retrain myself to avoid the counter-trend trading. That is one reason that I tried to incorporate using pullbacks, so that I could stick with buying dips and selling rallies. The difference is that you are buying dips in stronger stocks on up market days and selling rallies in weaker stocks on weak market days, as opposed to picking a top for the strongest stock on your screen because "it can't go any higher".

FYI, sometimes the "pullback" for a really strong stock might not happen. You might see a couple of hours during the day where it plateaus and just goes sideways. When that happens, especially if the rest of the market has pulled back any your stock won't budge, that might be just as good or better than an actual reduction in price. If and when the market resumes rally, that stock has a pretty good chance to take off as well.
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This is an excellent post and trend-following/breakouts have become my bread and butter.

This strategy is providing me with a nearly 100% win rate: When a trend is so strong that you can't seem to catch a pullback, and only one or two legs of the trend have transpired, wait for a small pause (very tiny pullback), then either enter as soon as support or resistance provide the springboard to move price back in the direction of the trend (early entry with tight stop just above or below the pivot bar), or place a buy or sell stop a tick or two above/below the last high/low. This requires trust, and if you're used to counter-trending and top/bottom picking, it will feel quite uncomfortable until you experience the easy money/tiny losses that come with this strategy.
 
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